FIND ME ON

GitHub

LinkedIn

Coin Tossing Probability Space

🌱

Definition
Probability

- Sample Space: Ω={(r1,,rn),ri{0,1},i=1,,n}\Omega=\{ (r_{1},\dots,r_{n}),r_{i}\in \{ 0,1 \}, i=1,\dots,n \} - Event Space: F=2Ω\mathcal{F}=2^{\Omega} - Probability Function: P(r1,,rn)=12n,(r1,,rn)ΩP(r_{1},\dots,r_{n})=\frac{1}{2^{n}},\forall(r_{1},\dots,r_{n})\in\Omega - Probability Measure: P(A)=A2n\mathbb{P}(A)=\frac{|A|}{2^{n}}

Sample Space: Ω=[0,1]\Omega=[0,1] Event Space: Lebesgue Measurable σ-algebra Probability Measure: Extension Theorem or P=P\mathbb{P}=\mathbb{P}^{*}

- Sample Space: Ω={(r1,r2,),ri{0,1},i1}\Omega=\{ (r_{1},r_{2},\dots),r_{i}\in \{ 0,1 \}, \forall i\ge 1 \} - Event Space: For any n1n\ge 1 and a1,,an{0,1}a_{1},\dots,a_{n}\in \{ 0,1 \} set Aa1,,an={(r1,r2,)Ω:ri=ai,1in}A_{a_{1},\dots,a_{n}}=\{ (r_{1},r_{2},\dots)\in\Omega:r_{i}=a_{i},1\le i\le n \}and then let J:={Aa1,,an:n1,a1,,an{0,1}}{,Ω}.\mathcal{J}:=\{ A_{a_{1},\dots,a_{n}}:n\ge 1,a_{1},\dots,a_{n}\in \{ 0,1 \}\}\cup \{ \emptyset,\Omega \} .We want (at minimum) a σ-algebra FJ\mathcal{F}\supseteq\mathcal{J} with: - Probability Measure: P(Aa1,,anF)=12n,n1,a1,,an{0,1}\mathbb{P}(A_{\underbrace{ a_{1},\dots,a_{n} }_{ \in \mathcal{F} }})=\frac{1}{2^{n}},\quad\forall n\ge 1,a_{1},\dots,a_{n}\in \{ 0,1 \}

J\mathcal{J} is a semialgebra

\begin{proof} 1. ,ΩJ\emptyset,\Omega \in \mathcal{J} 2. Closed under intersection since each event is either disjoint (i.e. its made up of discrete permutation of events) or they’re the same meaning the intersection is the same. 3. Complement=finite union: 1. Use idea that (0,0)c=(0,1)(1,1)(1,0)(0,0)^{c}=(0,1)\cup(1,1)\cup(1,0) and then apply this at level nn. \end{proof}

There is a probability space (Ω,F,P)(\Omega,\mathcal{F},\mathbb{P}^{*}) such that 1. FJ\mathcal{F}\supseteq\mathcal{J} and; 2. P(A)=P(A)\mathbb{P}^{*}(A)=\mathbb{P}(A) for AJA\in \mathcal{J}

\begin{proof} 1: Use Extension Theorem, need to show P\mathbb{P} is countably additive on J\mathcal{J}. Clearly, P\mathbb{P} is finitely additive: P(Aa1,a2Aa1,a2c)=P(Aa1)=12P(Aa1,a2)+P(Aa1,a2c)=122+122=12\begin{align*} \mathbb{P}(A_{a_{1},a_{2}}\cup A_{a_{1},a_{2}^{c}})=\mathbb{P}(A_{a_{1}})=\frac{1}{2}\\ \mathbb{P}(A_{a_{1},a_{2}})+\mathbb{P}(A_{a_{1},a_{2}^{c}})=\frac{1}{2^{2}}+\frac{1}{2^{2}}=\frac{1}{2} \end{align*} Countably requires Compactness argument (see lemma 2.62 in book) 2: Compare Ω\Omega to (0,1](0,1] via binary expansion. \end{proof} >[!lemma] >Every x(0,1]x \in(0,1] has a unique binary expansion x=j>1rj2jx=\sum_{j>1}\frac{r_{j}}{2^{j}}such that rj{0,1}r_{j}\in \{ 0,1 \} and rj=1r_{j}=1 i.o.. >

Linked from